Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach

Details Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach

2007-12-03

arxiv.org/abs/0712.0285v1

Mathematics

Statistics Theory

21

Scientific paper

We give simple conditions that ensure exponential forgetting of the initial conditions of the filter for general state-space hidden Markov chain. The proofs are based on the coupling argument applied to the posterior Markov kernels. These results are useful both for filtering hidden Markov models using approximation methods (e.g., particle filters) and for proving asymptotic properties of estimators. The results are general enough to cover models like the Gaussian state space model, without using the special structure that permits the application of the Kalman filter.

Affiliated with

Also associated with

No associations

Rating

Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-50974